Earth, Air, and Water are the elements which describe three of the four states of matter. Fire is an element as well and represents the state of matter known as plasma.
The three elements do not represent their counterparts by the same name in the physical plane. For instance, "Earth" is not the same as "earth", which may refer to any number of configurations of dirt-like substances or the planet as a whole. The same is true of "Air" and "Water." The elements represent the purest forms of solid, gas, and liquid respectively. Fire represents plasma. Consider these to be the clay that Pilgrims use to build galaxies.
Earth, Air, and Water combine to make up nearly all of the matter on the planet, while only a tiny percentage is Fire. However, on a galactic scale this ratio is reversed as more than 99% of Fire is stored in stars and other cosmic formations. Some scienseers theorize that the core of the planet may contain Fire and account for the earth's magnetic field and more mundane effects such as volcano eruptions, but it is not proven.
Each of the three elements has its own plane of existence separate from the physical plane. Because of this, each element has a creature on the physical plane, known as a Guardian, whose body acts as a link between the planes and dynamically regulates the flow of each element between the planes.
These planes are not empty. They contain elementals, sentient beings made from pure element energy. They are "born" not through active procreation like living things on the Physical Plane, but through an organic process not unlike how a Sphere of Order forms in the Sea of Chaos. On rare occasions, the raw element energy forms in an ordered way that resists the swirling vortex that is the natural state of the plane. These nuggets of order are sensed by other elementals and they move to protect and nuture this new being. Eventually, the swirl of order sees and understands what it is and learns to maintain its form.
Mastery of Air, Earth, then Water in that order is considered the first step on the Long Road.